Foundations of Asset Pricing (030110)- Dozent/in
- Prof. Dr. Stefan Reitz
- Angaben
- Vorlesung mit Übung, 2 SWS
Praesenzveranstaltung, (NUR ERSTE SEMESTERHÄLFTE)
Zeit und Ort: Di, Fr 8:15 - 9:45, OS75/S2 - R.210
vom 16.4.2024 bis zum 28.5.2024
1. Prüfungstermin (Klausur am Ende der Vorlesungszeit eines Semesters): 15.7.2024, 14:15 - 15:45 Uhr, Raum CAP2 - Hörsaal F
- Voraussetzungen / Organisatorisches
- Lecture for Economics, Quant. Economics, Quant Finance, BWL Master
Module Code: VWLqfFOAP-02a
Module Number: 3050901
Exam Number: 3050910
Exam type according to FPO: Module Exam (Modulprüfung)
Specific exam type in summer term 2024: presence exam
The number of ECTS Credits as well as the admission to the examination for this module is determined by the information regarding this module in the FPO (Examination Regulations) of your program (possibly only in the Appendix of the German version). If this module is not explicitly listed in your FPO, please check at the beginning of the semester about admission options. Typically, admission to the examination of this module is not possible in this case. An overview for all programs which can choose modules of the Institute of Economics can also be found here: Nebenfach Volkswirtschaftslehre Handbuch für Exportmodule (Minor in Economics - Handbook of Export Modules). You can also check in advance in QIS whether you can find this module listed there in the overview for exam registration, with the exam number mentioned in univis. Registration to the exam is only possible during the registration period. If you still have questions after reviewing these documents, please contact your student advisor (Studienfachberater).
- Inhalt
- Course Content
1 Introduction and Motivation
2 Stochastic Discount Factor
3 Foundations of Portfolio Theory
4 Asset Pricing Models
5 Empirical Models of Asset Pricing
6 Microstructure Theory of Asset Markets
Learning Outcomes
Students are able to describe and explain theoretical foundations of asset pricing. They understand the role of stochastic discount factors as a pricing kernel of assets and are able to derive the associated risk premiums. Furthermore, they are competent to describe foundations of portfolio theory and modern asset pricing approaches. Students are also confident applying empirical models of asset pricing and understand the role of asymmetric information, inventory effects, and market liquidity for asset pricing.
Final Exam: Written Exam Weighting 100%
Status Compulsory elective
ECTS Credits 6
Evaluation Graded
Duration 1 semester
Term (according to the study programme) 1-3
Frequency In winter term (see Long term planning of course offer)
Workload per ECTS Credit 30 hours
Total Workload 180 hours
Contact Time 60 hours
Independent Study 120 hours
- Empfohlene Literatur
- Bodie, Z., Kane, A., and Marcus, A. (2023), Investments, 13th ed., Mc Graw Hill.
Campbell, J. (2018), Financial Decisions and Markets, Princeton University Press.
Cochrane, J. (2005), Asset Pricing, Revised Edition, Princeton University Press.
Knowledge transfer
Interactive lecture and tutorial, lecture notes, literature studies, exercises, computer program codes
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 30
- Zugeordnete Lehrveranstaltungen
- UE: Übung zu "Foundations of Asset Pricing" (030111)
-
Dozent/in: Prof. Dr. Stefan Reitz
Zeit und Ort: Mo 10:15 - 11:45, OS75/S2 - R.210 (außer Mo 3.6.2024, Mo 10.6.2024, Mo 17.6.2024); Di 12:15 - 13:45, OS75/S2 - R.210; Blockveranstaltung 7.6.2024-21.6.2024 Fr 8:15 - 9:45, OS75/S2 - R.210
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